Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/22674 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Technical Report No. 2006,30
Verlag: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Zusammenfassung: 
We study the drift of stationary diffusion processes in a time series analysis of the autoregression function. A marked empirical process measures the difference between the nonparametric regression functions of two time series. We bootstrap the distribution of a Kolmogorov-Smirnov-type test statistic for two hypotheses: Equality of regression functions and shifted regression functions. Neither markovian behavior nor Brownian motion error of the processes are assumed. A detailed simulation study finds the size of the new test near the nominal level and a good power for a variety of parametric models. The two-sample result serves to test for mean reversion of the diffusion drift in several examples. The interest rates Euribor, Libor as well as T-Bond yields do not show that stylized feature often modelled for interest rates.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
238.13 kB





Publikationen in EconStor sind urheberrechtlich geschützt.